delete bone constraint in python
Here's a way to achieve this without the Try-Except block:

import bpy

for bone in bpy.context.selected_pose_bones:
    # Create a list of all the copy location constraints on this bone
    copyLocConstraints = [ c for c in bone.constraints if c.type == 'COPY_LOCATION' ]

    # Iterate over all the bone's copy location constraints and delete them all
    for c in copyLocConstraints:
        bone.constraints.remove( c ) # Remove constraint


On a more general note, the remove method is very common in blender collections, so when you try to delete a member of a collection always have a go at this in the console:

bpy.data.materials.remove( myMaterial )
bpy.context.object.modifiers.remove( someModifier )


Also note that this method usually takes the actual element reference (modifier object, constraint object, etc) as a parameter, not an index.